EC473 Homepage
Economic Forecasting Seminar at Colby College
Mondays and Wednesdays 1 - 2:15pm in Diamond 342

Professor Michael Donihue    Email address: Michael.Donihue@colby.edu

Office Hours: Mondays, Tuesdays, Wednesdays & Fridays 11am - noon
Additional times by appointment.

Course Syllabus:ec473syllabusfall07.pdf (Acrobat Reader version)
   Materials on Reserve in the Library

CEO Work In Progress	Lecture Notes
Final US model forecasts: cqem1207.wf1 Maine model as received from the team: ultimate_final_maine_model.wf1 CEO as of 1-Feb-08: ceo1207.doc What I received from M. Poplaski   final_yield_curve.xls   GovernmentSector-popped.doc   MaineCEOwrite-up.doc   MonetarySector-popped.doc   PresidentialPrediction.doc   PriceandLaborSectorWriteup-popped.doc   Tradedeficitandoilwriteup-popped.doc   Summary table for US outlook: ceo_ussummary.xls Programs and Data Data EViews programs to calculate residuals   For equations without transformed dependent variables: residrun.prg   For equations with log-transformed dependent variables: lresidrun.prg   For equations with first-difference-of-the-log dependents: dlresidrun.prg   For equations with first-differenced dependent variables: dresidrun.prg Background Information Threat of Recession Podcast Portland Fuels the Maine Economy CQEM Model Development (1) Using the 2005 version of the CQEM in the EViews file cqem1205.wf1 and documented in the class handout cqem_fall05.pdf, produce a flow chart for your sector of the model. (2) Update the coefficient estimates for each of the equations in your sector using the data in cqem1007.wf1, estimating each equation through 2006q4 only. (3) Use these estimates to produce ex post forecasts for each of your equations for the period 2005q2 through 2007q2. (4) Evaluate each forecast and think about modifications to your sector of the model. Maine Model Development Current EViews data file for updating equations: me1007.wf1   Note addition of the Philadelphia Fed's coincident index. Resources for the Colby Coincident Index of the Maine Economy (CCI)   FRB Philadelphia State Coincident Indexes   T. Crone FRB working paper on constructing state indexes   Stock & Watson paper on coincident indexes   2001 CCI writeup   MS Excel spreadsheet used to calculate the CCI for the 2006 CEO	5-Sep Introduction to Forecasting: ec473lecture01.ppt 10-Sep EDA: ec473lecture02.ppt 19-Sep Exponential Smoothing: ec473lecture03.ppt 26-Sep Holt-Winters: ec473lecture04.ppt 09-Oct Box-Jenkins Identification: ec473lecture05.ppt 25-Oct Autocorrelation & Development of the CQEM Money Demand Eqn: ec473lecture06.ppt Forecasting Assignments 10-September: Download the EViews workfile noname.wf1 onto your computer. Produce a plot with a fitted line through your series. Any noteworthy features? 12-September: Using the EViews workfile ec473fall07_nsa.wf1 produce a forecast of your series through Dec-08 using the linear trend projection method. 24-September: Use exponential smoothing to estimate different trend values for your series. Why is the forecast produced by exponential smoothing a straight line? 10-October: Box-Jenkins identification, estimation & forecast 15-October: Box-Jenkins forecast using the seasonally adjusted data in ec473fall07_sa.wf1 29-October: Consumption function estimates. Create an EViews workfile, download data from DLX, estimate your consumption function, work on the econometric specification (e.g., check/correct for serial correlation), and complete an ex post forecast for the last 6 quarters of your data.
News Resources	Colby Quarterly Econometric Model
Bangor Daily News BBC News The Boston Globe Business Week CNN News    CNN/Money Financial News The Economist Financial Times Maine Public Radio MSNBC National Public Radio The New York Times Portland Press Herald The Wall Street Journal Washington Post Waterville Morning Sentinel	EViews Workfiles - US Model    Data for this year's version of the CQEM    December 2005     Documentation: cqem_fall05.pdf    December 2003    December 2001    December 1999    December 1997    December 1996   Maine Model    December 2006    December 2005    December 2003    December 2002    November 1999    December 1997    December 1996
Class Resources	Data Sources
Programs and Test Statistics decomp.prg EViews time series decomposition program recshade.prg EViews shading program armamodels.prg EViews program providing analytical 'Mug Shots' for identifying ARMA models DurbinHtest.xls MS Excel worksheet that performs a Durbin h-test mape.prg Calculates a Mean Absolute Percent Error statistic errorstats.prg Calculates Mean Error, RMSE, and MAPE statistics Economic Impact of Hurricane Katrina Money/CNN 10-Sep-05 New York Times 4-Sep-05 Washington Post 2-Sep-05 Economist 2-Sep-05 When will Katrina's impact appear in the data? Other Current Events Bernanke's models Inverted Yield Curve? Academic/Government Research Donihue's Consumption Wealth Effects paper Donihue's Potential Output/Phillips Curve paper Does Consumer Sentiment Predict Regional Consumption? Trends and Implications for the Maine Workforce The Role of Models and Probabilities in the Monetary Policy Process How Important Is The Stock Market Effect on Consumption? A Primer on the Economics and Time Series Econometrics of Wealth Effects (62 pages)	US Bureau of Economic Analysis US Bureau of Labor Statistics US Census Bureau Council of Economic Advisers   2005 Economic Report of the President Economagic.com Economy.com   Dismal Scientist   FreeLunch.com Federal Reserve Board of Governors   Boston Fed: New England Economic Indicators   St. Louis Fed: ALFRED    FRASER    FRED Maine Department of Labor Maine State Planning Office OFFSTATS - Official Statistics on the Web White House Economic Statistics Briefing Room Yardini's Economic Network

Helpful Hints
To check your understanding of the various forecasting and data analysis methods we cover, try to reproduce the charts and numerical results you see in the lecture notes.

Notes on calculating growth rates